Dagens andre post om valuta, denne gang noe mer nerdete. Spørsmålet er dette: Hvordan spår man valutakurser?
I en ny artikkel fra IMF (pdf) har man sett på over 250 analytikere og modellene de bruker. IMF økonomene er ikke ute etter å finne ut hvem som spår best om valutakurser, men hvilke metoder de bruker. Fra sammendraget:
Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters.
Og fra konklusjonen:
Amid a plethora of exchange rate models, inflation and growth rates appear to be two robust factors that are considered in the formation of exchange rate expectations by market forecasters. The prominence of inflation points to the broad subscription to a version of purchasing power parity. The prominence of growth rates suggests the broad acceptance of the productivity-driven appreciation, either in terms of the classic Balassa-Samuelson effect or in terms of procyclical capital inflows. Other often-mentioned factors, including the current account balance, do not appear to play a common role in the exchange rate formation.
Inflasjon og vekstrater. Mottatt.